IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Arma Representation Of Integrated And Realized Variances

  • Nour MEDDAHI
Registered author(s):

    This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR-SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility and the positive Ornstein- Uhlenbeck models. We also study the leverage effect case, the relationship between weak GARCH representation of returns and the ARMA representation of realized variances. Finally, various empirical implications of these ARMA representations are considered. We find that it is possible that some parameters of the ARMA representation are negative. Hence, the positiveness of the expected values of integrated or realized variances is not guaranteed. We also find that for some frequencies of observations, the continuous time model parameters may be weakly or not identified through the ARMA representation of realized variances.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.cireqmontreal.com/wp-content/uploads/cahiers/20-2002-cah.pdf
    Download Restriction: no

    Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 20-2002.

    as
    in new window

    Length: 27 pages
    Date of creation: 2002
    Date of revision:
    Handle: RePEc:mtl:montec:20-2002
    Contact details of provider: Postal: C.P. 6128, Succ. centre-ville, Montréal (PQ) H3C 3J7
    Phone: (514) 343-6557
    Fax: (514) 343-7221
    Web page: http://www.cireq.umontreal.ca
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:mtl:montec:20-2002. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sharon BREWER)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.